Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2006-10-05
2010-12-14
Borlinghaus, Jason M (Department: 3693)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
Reexamination Certificate
active
07853519
ABSTRACT:
There are provided new structural default models for modeling the likely default of publicly traded companies. In a first embodiment, the invention is straight-forward to implement and allows the capture of some important ingredients of the actual default, including positive short-term CDSs. In a second embodiment them model is somewhat more versatile and complex. Provided is a very efficient method for dealing with the timing of a default boundary, that is, jumps in the company's value, etc. Further provided is a process using Fast Fourier Transform matrix processing for processing the structural default models in a computationally efficient manner.
REFERENCES:
patent: 6078903 (2000-06-01), Kealhofer
patent: 6085175 (2000-07-01), Gugel et al.
patent: 6112190 (2000-08-01), Fletcher et al.
patent: 6493682 (2002-12-01), Horrigan et al.
patent: 7236951 (2007-06-01), Lipton et al.
patent: 2004/0225598 (2004-11-01), Goldberg et al.
patent: 2005/0021452 (2005-01-01), Lipton et al.
patent: WO 01/52121 (2001-07-01), None
patent: WO 2006/010722 (2006-02-01), None
“International Search Report”, PCT/US2004/23720, (Dec. 29, 2005),10 pages.
Finkelstein, Valdimir , et al., “Credit Grades Technical Document”, RiskMetrics Group, Inc.,(May 2002),1-52.
Hull, John , “Merton's Model, Credit Risk and Volatility Skews”,Research Paper; Internet, (Feb. 25, 2003),1-23.
Merton, R. C., “Option Pricing when Underlying Stock Returns are Discontinuous”,WP 787-75, Academic Paper presented at American Finance Association, Dec. 1975, Masachusetts Institute of Technology.,(Apr. 1997),1-25.
Zhou, Chunsheng , “A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities”,Research Paper; Internet, Federal Reserve Board (Washington DC),(Mar. 1997),1-47.
Office Action mailed Apr. 6, 2005 for U.S. Appl. No. 10/795,541.
Office Action mailed Aug. 26, 2005 for U.S. Appl. No. 10/795,541.
Notice of Allowance mailed Jun. 7, 2006 for U.S. Appl. No. 10/795,541.
Lee Shinghoi
Lipton Alexander
Song Jonathan Z.
Borlinghaus Jason M
Credit Suisse Securities (USA) LLC
King & Spalding LLP
LandOfFree
Systems and methods for modeling credit risks of publicly... does not yet have a rating. At this time, there are no reviews or comments for this patent.
If you have personal experience with Systems and methods for modeling credit risks of publicly..., we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Systems and methods for modeling credit risks of publicly... will most certainly appreciate the feedback.
Profile ID: LFUS-PAI-O-4205023